The JTD Exposure captures the jump-to-default risk that may not be captured by credit spread shocks under the SBM.Documentation Index
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| Field | Key | Description |
|---|---|---|
| As-of Date | Y | Timestamp (at close of business) for the data (T-1) |
| Trade ID | Y | A unique identifier for the trade (or position) |
| Risk Factor Name | Y | A unique identifier for the risk-factor |
| Risk Class | Y | “DRC Sec non-CTP” |
| Risk Measure | Y | “DRC” |
| Direction | Is the exposure “long” or “short” | |
| Market Value | The market value of the exposure (JTD) |